I have lived with Andrew Lloyd Webber all my working life. I came in with Joseph and the Amazing Technicolour Dreamcoat in 1970 and hope to be around to catch his latest, The Woman in White. And visiting his art collection is a bit like going to a Lloyd Webber first night. As a show, it's big, lush, extravagant. The Amazing Technicolour Art Exhibition, in fact. And, as in a Lloyd Webber musical, high romanticism co-exists with patches of purple sentiment: you could almost swear Trevor Nunn directed it.

In one of the early rooms stands an extraordinary grand piano. Designed by Kate Faulkner in the William Morris style, it is decorated with gilded gesso-work: vines and poppies on the lid, cow parsley on the front, a briar encircling the frame. Goodness knows how anyone would ever dare to play it! But for me it came to symbolise the exhibition. Not merely because it embodies Lloyd Webber's profession but because he clearly adores works of art that aspire to the condition of music.

In fact, as I wandered round the show, I kept being reminded of all the Lloyd Webber first nights that I had ever attended. Back in 1971 there was Jesus Christ Superstar. And, as you look at Holman Hunt's The Shadow of Death or Burne-Jones's Christ Enthroned, you are reminded that the Pre-Raphaelites had a similar obsession with the Nazarene. Isn't there even a touch of musicalised kitsch about the Burne-Jones whose Christ rests a globe on his knee and who sits flanked by huge russet-winged angels?

Lloyd Webber was also the first composer to show - long before The Lion King - that you could make a whole musical out of animals. Everyone prophesied in 1981 that Cats would be a disaster; and when a bomb scare interrupted the first night at the New London the critic Milton Shulman refused to budge, saying: "This theatre's never had a hit yet." But Cats went on to conquer the world; and, even though I couldn't detect any felines in the exhibition, there is a whole room devoted to animals dominated by marvellous Munnings horses, ranging from sleek thoroughbreds to country-fair Dobbins.

But, of course, you can't go round the exhibition without hearing The Phantom Of The Opera in your head: the perfect expression of Lloyd Webber's Victorian sensibility. Lloyd Webber loves paintings that sing. One room is dominated by four tapestries of the Holy Grail that is like a woven Parsifal. Lloyd Webber also has an unfashionable fondness for a painter, and set designer, such as Sir Lawrence Alma-Tadema, who was the Cecil B DeMille of his day: one particular painting of The Baths of Caracalla shows three ladies frolicking before a mixed swimming party full of bare buttocks and staunch thighs.

In recent years, however, Lloyd Webber's musicals have started to embrace verismo: The Beautiful Game, with book by Ben Elton, tackled religious conflict in Northern Ireland. And, sure enough, his collection extends to Victorian genre paintings such as Adrien-Emmanuel Marie's Feeding The Hungry After The Lord Mayor's Banquet. Even the picturesque poor in these paintings, however, look as if they belong to the world of the musical rather than that of Mayhew. And maybe this is the real point of the exhibition. Victorian art presents us with an idealised world, drawn from the Bible, Shakespeare, classical myth and heroic legend, as much as from life itself. And Lloyd Webber's collection, which I shamelessly enjoyed, is like an 11-room musical offering an escape into a world of multi-coloured fantasy.